基于随机波动率模型的沪深300ETF期权定价  

Research on CSI 300 ETF options Pricing Basedon Stochastic Volatility Model

作　　者：郁瑞澜 商豪[1] YU Ruilan;SHANG Hao(School of Sciences,Hubei Univ.of Tech.,Wuhan 430068,China)

机构地区：[1]湖北工业大学理学院,湖北武汉430068

出　　处：《湖北工业大学学报》2021年第4期116-120,共5页Journal of Hubei University of Technology

摘　　要：选取2019年12月23日至2020年8月31日到期日在两个月内的沪300ETF平价看涨期权的日交易数据,计算出隐含波动率,发现存在明显的“波动率微笑”现象;构建Heston模型,并用MCMC法中的Gibbs算法对其参数进行估计。结果表明,B-S公式的定价偏高,相比B-S模型,Heston模型的定价结果更贴合实际,但是当标的资产价格大幅波动时,B-S定价结果比Heston定价更准确。比较Heston模型与B-S公式的定价结果并对误差分析发现,在4种误差衡量方法下,Heston模型的定价均更为准确。This paper selects the daily trading data from 23 December 2019 to 31 August 2020 of Shanghai 300 ETF parity call options with an expiration date of and within two months.Firstly,the paper calculates the implied volatility and finds that there is an obvious phenomenon of"volatility smile".Secondly,the Heston is constructed and its parameters are estimated by the Gibbs algorithm.The results show that B-S formula is overpriced and Heston is more realistic than B-S model.But when the underlying asset prices fluctuate wildly,B-S prices turn out to be more accurate than Heston's.Finally,the pricing results of Heston and B-S formula are compared and their errors are analyzed.It is found that the pricing results of Heston are more accurate under the four error measurement methods.

关 键 词：沪深300ETF期权 Heston模型 MCMC算法 

分 类 号：F830.9[经济管理—金融学]